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By pricing vector I assume you refer to the state price vector, whose definition can be found here. According to the above definition, the price of a particular state specifically refers to the the price of a contract paying exactly one unit of numeraire if that state does occur and zero unit otherwise. And state price vector is thus the vector of state ...


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In a few words. The CAPM assume the concave utility function because its, implicitly, assume the validity of mean-variance approach. In utility function way the concavity is related with the concept of risk aversion and risk=variance of return. If utility function is convex the investor is prone to risk and CAPM is not valid and mean-variance as well. If as ...


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When investors make decisions in the market, they maximize utility. The utility in turn depends on consumption volatility. An overall goal of the investors is to smooth consumption, so they can consume in each point in time roughly the same amount. It is clear, the more volatile consumption growth the more uncertain is future consumption. Investors want to ...


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First of all, it is not conceivable to do all that work by hand! You are crazy to have just thought it! Second, if you want to repeat your work with different datasets, I suggest you to use R, since, once you have written a script, you can use it all the times you want. But, there's a 'but': you cannot think we are going to write some code for you (you ...



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